Apama Capital Markets Foundation Documentation : Capital Markets Foundation : Order Management : Smart Order Router
Smart Order Router
Creating a strategy instance
Creating orders for the strategy
Overriding the processing of child orders
Amending or cancelling the parent order
Stopping the strategy
The Smart Order Router (SOR) framework is part of the Order Management components of the Capital Market Foundation, which include order management, exchange simulation, and firewall functionality.The SOR framework provides a mechanism by which an order can be created and executed with a user-defined strategies. The original parent order may be executed by creating one or more child orders. The results of the execution of child orders will be reflected in the parent order object.
For example, a strategy might split a parent order into two separate child orders, each containing half of the parent order quantity. These child orders will then be placed on two separate venues. When one child order is filled, the parent orders quantity executed field will reflect that child fill. When both child orders fully fill, the parent order will also indicate that it has been fully filled. See the SOR sample for more information.
The user API provides functionality sufficient for the majority of applications. The API includes a SOR strategy factory object which can be used to create strategy instances. Each strategy instance allows you to define a set of callback actions at each stage of handling the SOR order.
If datasources run in the main context, processing of the orders in the same context could create a performance bottleneck. Therefore, the interfaces have been designed such that the SOR framework can be created in a different context. The SOR framework uses the CMF's Order Management Support component to subscribe to OrderUpdate events that are received in the main context, and reflect them to the context that the SOR is running in. As a result, the main context is only used for reflecting the received order management events to the appropriate context for processing.
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